Internet Explorer and Firefox handle saving documents with file names containing underscores differently.  IE will, by default, save the document with the desired file name containing underscores.  However, Firefox will instead replace all of the underscores with '%5f'.  This can be avoided by wrapping the desired file name in Uri.UnescapeDataString().

For example, with the ReportViewer class:

[ReportViewer instance].LocalReport.DisplayName = Uri.UnescapeDataString("File_name.ext")

The resulting document will, by default, be saved as File_name.ext from IE and as File name.ext from Firefox